Reuters Dataset 1 Metamodel Long-Short BackTest
Reuters Dataset 1 Metamodel Long-Short BackTest
Meta-model Analysis - Model Stacking
Meta-model analysis was carried out to see if the different models predict better on the differeent feature spaces of the test data set. Model outputs were trained as inputs into gradient boosting models (Catboost, LGBM and ExtraTreesClassifiers).
The CatBoost meta-model accuracy (56%) improved on the best accuarcy score (55%) and went on to outperform the SentiMetre Model 2 ranked by return.